Advancing Zero-Inflated Tweedie Models and Evaluating Gradient Boosting Libraries for Auto Claims
The study's focus is on insurance claim prediction, which is essential for the insurance industry in calculating premiums for policyholders. The study is based on the Tweedie model's widespread use in the insurance industry to forecast premiums for policyholders. Another crucial element of the study is the fact that the right-skewed and zero-inflated traits of claims data in property and casualty insurance pose specific difficulties. The paper extends previous results in the actuarial literature by introducing functional links between the expected claim amount and the probability of zero inflation; in addition, sophisticated machine learning approaches, specifically gradient boosting methods, are utilized to overcome the limitations of traditional generalized linear models. Within this framework, after an overview on the gradient-boosted decision trees algorithm, comparisons are made between the performance of well-known gradient boosting libraries, i.e. XGBoost, LightGBM, and CatBoost. Then, the zero-inflated Tweedie boosted tree models are discussed. The paper concludes with the application of the models presented to two datasets of auto insurance claims. The Appendices contain detailed information about the training algorithm and the dataset.
- A decision-theoretic generalization of on-line learning and an application to boosting
- Actuarial intelligence in auto insurance: claim frequency modeling with driving behavior features and improved boosted trees
- Boosting insights in insurance tariff plans with tree-based machine learning methods
- Delta Boosting Machine with Application to General Insurance
- Enhanced gradient boosting for zero-inflated insurance claims and comparative analysis of CatBoost , XGBoost , and LightGBM
- Fitting Tweedie's compound poisson model to insurance claims data
- Fitting Tweedie's Compound Poisson Model to Insurance Claims Data: Dispersion Modelling
- Greedy function approximation: A gradient boosting machine.
- scientific article; zbMATH DE number 1414274 (Why is no real title available?)
- Insurance Premium Prediction via Gradient Tree-Boosted Tweedie Compound Poisson Models
- On modeling claim frequency data in general insurance with extra zeros
- Poisson regression and zero-inflated Poisson regression: application to private health insurance data
- Subgroup analysis of zero-inflated Poisson regression model with applications to insurance data
- The Elements of Statistical Learning
- Tweedie gradient boosting for extremely unbalanced zero-inflated data
- Tweedie regularization model and application
- Zero-Inflated Poisson Regression, with an Application to Defects in Manufacturing
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